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Full-Text Articles in Statistics and Probability
A Robust Panel Unit Root Test In The Presence Of Cross Sectional Dependence, Nurul Sima Mohamad Shariff, Nor Aishah Hamzah
A Robust Panel Unit Root Test In The Presence Of Cross Sectional Dependence, Nurul Sima Mohamad Shariff, Nor Aishah Hamzah
Journal of Modern Applied Statistical Methods
Problems arise in testing the stationarity of the panel in the presence of cross sectional dependence and outliers. The currently available panel unit root tests are very much affected by the presence of outliers. As such, this article introduces an alternative test which is robust to outliers and cross sectional dependence. The performance and robustness of the proposed test is discussed and comparisons are made to the existing tests via simulation studies.
Practical Unit-Root Analysis Using Information Criteria: Simulation Evidence, Kosei Fukuda
Practical Unit-Root Analysis Using Information Criteria: Simulation Evidence, Kosei Fukuda
Journal of Modern Applied Statistical Methods
The information-criterion-based model selection method for detecting a unit root is proposed. The simulation results suggest that the performances of the proposed method are usually comparable to and sometimes better than those of the conventional unit-root tests. The advantages of the proposed method in practical applications are also discussed.
Purchasing Power Parity, Unit Roots And Dynamic Structure, Douglas G. Steigerwald
Purchasing Power Parity, Unit Roots And Dynamic Structure, Douglas G. Steigerwald
Douglas G. Steigerwald
Recent studies of puchasing power parity (PPP) account for the possible presence of unit roots in nominal exchange rates and relative price indicies by applying standard unit-root tests to real exchange rates, which are ratios of nominal exchange rates and relative price indicies. These studies occasionally find evidence of PPP but, as a whole, the evidence is not definitive. Standard unit-root tests impose a restrictive dynamic structure between nominal exchange rates and relative price indicies. I specify and estimate a generalized dynamic structure. I reject the dynamic restrictions implicit in standard unit-root tests of PPP, and find stronger evidence of …